A GA-weighted ANFIS model based on multiple stock market volatility causality for TAIEX forecasting

Stock market forecasting is important and interesting, because the successful prediction of stock prices may promise attractive benefits. The economy of Taiwan relies on international trade deeply, and the fluctuations of international stock markets will impact Taiwan stock market. For this reason, it is a practical way to use the fluctuations of other stock markets as forecasting factors for forecasting the Taiwan stock market. In this paper, the proposed model uses the fluctuations of other national stock markets as forecasting factors and employs a genetic algorithm (GA) to refine the weights of rules joining in an ANFIS model to forecast the Taiwan stock index. To evaluate the forecasting performances, the proposed model is compared with four different models: Chen's model, Yu's model, Huarng's model, and the ANFIS model. The results indicate that the proposed model is superior to the listing methods in terms of the root mean squared error (RMSE).     

Volatility model based on multi-stock index for TAIEX forecasting

Conventional time series models have been applied to handle many forecasting problems, such as financial, economic and weather forecasting. In stock markets, correct stock predictions will bring a huge profit for stock investors. However, conventional time series models produce forecasts based on some strict statistical assumptions about data distributions, and, therefore, they are not very proper to forecast financial datasets. This paper proposes a new forecasting model using adaptive learning techniques to predict TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock index) with multi-stock indexes (NASDAQ stock index and Dow Jones stock index). In verification, this paper employs seven year period of TAIEX stock index, from 1997 to 2003, as experimental datasets, and the root mean square error (RMSE) as evaluation criterion. The performance comparison results show that the proposed model outperforms the listing methods in forecasting Taiwan stock market. Besides, from statistical test results, it is showed that the volatility of Dow Jones and the NASDAQ affect TAIEX significantly.     

A hybrid ANFIS model based on empirical mode decomposition for stock time series forecasting

Time series forecasting is an important and widely popular topic in the research of system modeling, and stock index forecasting is an important issue in time series forecasting. Accurate stock price forecasting is a challenging task in predicting financial time series. Time series methods have been applied successfully to forecasting models in many domains, including the stock market. Unfortunately, there are 3 major drawbacks of using time series methods for the stock market: (1) some models can not be applied to datasets that do not follow statistical assumptions; (2) most time series models that use stock data with a significant amount of noise involutedly (caused by changes in market conditions and environments) have worse forecasting performance; and (3) the rules that are mined from artificial neural networks (ANNs) are not easily understandable.To address these problems and improve the forecasting performance of time series models, this paper proposes a hybrid time series adaptive network-based fuzzy inference system (ANFIS) model that is centered around empirical mode decomposition (EMD) to forecast stock prices in the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Hang Seng Stock Index (HSI). To measure its forecasting performance, the proposed model is compared with Chen's model, Yu's model, the autoregressive (AR) model, the ANFIS model, and the support vector regression (SVR) model. The results show that our model is superior to the other models, based on root mean squared error (RMSE) values.     

AN ADAPTIVE EXPECTATION GENETIC ALGORITHM BASED ON ANFIS AND MULTINATIONAL STOCK MARKET VOLATILITY CAUSALITY FOR TAIEX FORECASTING

The stock market is a highly complex and dynamic system, and forecasting stock is complicated and difficult. Successful prediction of stock prices may promise attractive benefits; therefore, stock market forecasting is important and of great interest. The economy of Taiwan relies on international trade deeply and the fluctuations of international stock markets impact Taiwan's stock market to certain degree. It is practical to use the fluctuations of other stock markets as forecasting factors for forecasting on the Taiwan stock market. Further, stock market investors usually make short-term decisions based on recent price fluctuations, but most time series models use only the last period of stock price in forecasting. In this article, the proposed model uses the fluctuations of other national stock markets as forecasting factors and employs an expectation equation method whose parameters are optimized by a genetic algorithm (GA) joined with an adaptive network–based fuzzy inference system (ANFIS) model to forecast the Taiwan stock index. To evaluate the forecasting performance, the proposed model is compared with Chen's model and Yu's model. The experimental results indicate that the proposed model is superior to the listing methods (Chen's model and Yu's model) in terms of root mean squared error (RMSE).     

Granger 相关性与时间序列预测

提出一种将Granger相关信息用于时间序列预测的方法,以解决时间序列预测过程中信息利用不完全的问题.首先,通过Granger相关性检验确定时间序列系统中的可利用信息;然后,利用神经网络将可利用信息抽取出来;最后,将抽取的可利用信息融入到时间序列的预测中.实验结果验证了所提出预测方法的有效性和稳定性.     

Adaptive-expectation based multi-attribute FTS model for forecasting TAIEX

In recent years, there have been many time series methods proposed for forecasting enrollments, weather, the economy, population growth, and stock price, etc. However, traditional time series, such as ARIMA, expressed by mathematic equations are unable to be easily understood for stock investors. Besides, fuzzy time series can produce fuzzy rules based on linguistic value, which is more reasonable than mathematic equations for investors. Furthermore, from the literature reviews, two shortcomings are found in fuzzy time series methods: (1) they lack persuasiveness in determining the universe of discourse and the linguistic length of intervals, and (2) only one attribute (closing price) is usually considered in forecasting, not multiple attributes (such as closing price, open price, high price, and low price). Therefore, this paper proposes a multiple attribute fuzzy time series (FTS) method, which incorporates a clustering method and adaptive expectation model, to overcome the shortcomings above. In verification, using actual trading data of the Taiwan Stock Index (TAIEX) as experimental datasets, we evaluate the accuracy of the proposed method and compare the performance with the (Chen, 1996 [7], Yu, 2005 [6], and Cheng, Cheng, & Wang, 2008 [20]) methods. The proposed method is superior to the listing methods based on average error percentage (MAER).     

Intra-daily information of range-based volatility for MEM-GARCH

Conventional GARCH modeling formulates an additive-error mean equation for daily return and an autoregressive moving-average specification for its conditional variance, without much consideration on the effects of intra-daily data. Using Engle’s multiplicative-error model (MEM) formulation, range-based volatility is proposed as an intraday proxy for several GARCH frameworks. The performances of these different approaches for two 8-year market data sets: the S&P 500 and the NASDAQ composite index, are studied and compared. The impact of significant changes in intraday data has been found to reflect in the MEM-GARCH volatility. For some frameworks it is also possible to use lagged values of range-based volatility to delay the intraday effects in the conditional variance estimation.     

Multi-variable fuzzy forecasting based on fuzzy clustering and fuzzy rule interpolation techniques

In this paper, we present a new method for multi-variable fuzzy forecasting based on fuzzy clustering and fuzzy rule interpolation techniques. First, the proposed method constructs training samples based on the variation rates of the training data set and then uses the training samples to construct fuzzy rules by making use of the fuzzy C-means clustering algorithm, where each fuzzy rule corresponds to a given cluster. Then, we determine the weight of each fuzzy rule with respect to the input observations and use such weights to determine the predicted output, based on the multiple fuzzy rules interpolation scheme. We apply the proposed method to the temperature prediction problem and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) data. The experimental results show that the proposed method produces better forecasting results than several existing methods.     

Financial forecasting using ANFIS networks with Quantum-behaved Particle Swarm Optimization

To be successful in financial market trading it is necessary to correctly predict future market trends. Most professional traders use technical analysis to forecast future market prices. In this paper, we present a new hybrid intelligent method to forecast financial time series, especially for the Foreign Exchange Market (FX). To emulate the way real traders make predictions, this method uses both historical market data and chart patterns to forecast market trends. First, wavelet full decomposition of time series analysis was used as an Adaptive Network-based Fuzzy Inference System (ANFIS) input data for forecasting future market prices. Also, Quantum-behaved Particle Swarm Optimization (QPSO) for tuning the ANFIS membership functions has been used. The second part of this paper proposes a novel hybrid Dynamic Time Warping (DTW)-Wavelet Transform (WT) method for automatic pattern extraction. The results indicate that the presented hybrid method is a very useful and effective one for financial price forecasting and financial pattern extraction.     

Prediction of concrete compressive strength: Research on hybrid models genetic based algorithms and ANFIS

The management of concrete quality is an important task of concrete industry. This paper researched on the structured and unstructured factors which affect the concrete quality. Compressive strength of concrete is one of the most essential qualities of concrete, conventional regression models to predict the concrete strength could not achieve an expected result due to the unstructured factors. For this reason, two hybrid models were proposed in this paper, one was the genetic based algorithm the other was the adaptive network-based fuzzy inference system (ANFIS). For the genetic based algorithm, genetic algorithm (GA) was applied to optimize the weights and thresholds of back-propagation artificial neural network (BP-ANN). For the ANFIS model, two building methods were explored. By adopting these predicting methods, considerable cost and time-consuming laboratory tests could be saved. The result showed that both of these two hybrid models have good performance in desirable accuracy and applicability in practical production, endowing them high potential to substitute the conventional regression models in real engineering practice.     

A hybrid ANFIS based on n-period moving average model to forecast TAIEX stock

Linear model is a general forecasting model and moving average technical index (MATI) is one of useful forecasting methods to predict the future stock prices in stock markets. Therefore, individual investors, stock fund managers, and financial analysts attempt to predict price fluctuation in stock markets by either linear model or MATI. From literatures, three major drawbacks are found in many existing forecasting models. First, forecasting rules mined from some AI algorithms, such as neural networks, could be very difficult to understand. Second, statistic assumptions about variables are required for time series to generate forecasting models, which are not easily understandable by stock investors. Third, stock market investors usually make short-term decisions based on recent price fluctuations, i.e., the last one or two periods, but most time series models use only the last period of stock price. In order to overcome these drawbacks, this study proposes a hybrid forecasting model using linear model and MATI to predict stock price trends with the following four steps: (1) test the lag period of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and calculate the last n-period moving average; (2) use subtractive clustering to partition technical indicator values into linguistic values based on data discretization method objectively; (3) employ fuzzy inference system (FIS) to build linguistic rules from the linguistic technical indicator dataset, and optimize the FIS parameters by adaptive network; and (4) refine the proposed model by adaptive expectation models. The proposed model is then verified by root mean squared error (RMSE), and a ten-year period of TAIEX is selected as experiment datasets. The results show that the proposed model is superior to the other forecasting models, namely Chen's model and Yu's model in terms of RMSE.     

基于ANFIS的水质净化预测控制

水资源是基础性自然资源,也是战略性经济资源,正确对自来水的净化进行预测控制对于社会经济和环境的协调发展具有重要的意义。传统的预测控制方法不能及时适应水质的不确定动态变化,净化效果不佳。自适应神经模糊推理系统（ANFIS）是模糊逻辑和神经网络最完全的融合,ANFIS的自适应性质使得它可以替代控制系统的任意神经元网络并执行同样的功能。针对水净化过程的不确定性,建立了以ANFIS为基础的自来水质净化的预测控制,仿真结果显示：该自适应神经模糊控制器具有较高的控制精度,控制效果较好。     

基于因果关系的行动理论扩充

在因果条件逻辑的基础上进一步改进因果理论语义,并给出扩充的行动理论,统一表述动作执行和原因蕴涵,从而可以整体论述逻辑语言本身相互动作的独立与非独立性,使得处理并发动作和动作之间独立与非独立性关系变得更为自然形式化．     

The application of ANFIS prediction models for thermal error compensation on CNC machine tools

Thermal errors can have significant effects on CNC machine tool accuracy. The errors come from thermal deformations of the machine elements caused by heat sources within the machine structure or from ambient temperature change. The effect of temperature can be reduced by error avoidance or numerical compensation. The performance of a thermal error compensation system essentially depends upon the accuracy and robustness of the thermal error model and its input measurements. This paper first reviews different methods of designing thermal error models, before concentrating on employing an adaptive neuro fuzzy inference system (ANFIS) to design two thermal prediction models: ANFIS by dividing the data space into rectangular sub-spaces (ANFIS-Grid model) and ANFIS by using the fuzzy c-means clustering method (ANFIS-FCM model). Grey system theory is used to obtain the influence ranking of all possible temperature sensors on the thermal response of the machine structure. All the influence weightings of the thermal sensors are clustered into groups using the fuzzy c-means (FCM) clustering method, the groups then being further reduced by correlation analysis.A study of a small CNC milling machine is used to provide training data for the proposed models and then to provide independent testing data sets. The results of the study show that the ANFIS-FCM model is superior in terms of the accuracy of its predictive ability with the benefit of fewer rules. The residual value of the proposed model is smaller than ±4 μm. This combined methodology can provide improved accuracy and robustness of a thermal error compensation system.     

Quantum minimization for adapting ANFIS outputs to its nonlinear generalized autoregressive conditional heteroscedasticity

Volatility clustering degrades the efficiency and effectiveness of time series prediction and gives rise to large residual errors. This is because volatility clustering suggests a time series where successive disturbances, even if uncorrelated, are yet serially dependent. Traditional time-series forecast model such as grey model (GM) or auto-regressive moving-average (ARMA) has often encountered the overshoot effect, thus leading to the deterioration of its predictive accuracy. To overcome the overshoot and volatility clustering problems at the same time, an adaptive neuro-fuzzy inference system (ANFIS) is combined with a nonlinear generalized autoregressive conditional heteroscedasticity (NGARCH) model that is adapted by quantum minimization (QM) so as to tackle the problem of overshooting situation and time-varying conditional variance residual errors. The proposed method significantly reduces large residual errors in forecasts because the overshoot and volatility clustering effects are regulated to trivial levels. Two experiments using real financial and geographic data series, respectively, compare the proposed method and a number of well-known alternative methods. Results show that forecasting performance by the proposed method produces superior results, with good speed of computation. Goodness of fit of the proposed method is tested by Ljung-Box Q-test. It is concluded that the ANFIS/NGARCH composite model adapted by QM performs very well for improved predictive accuracy of irregular non-periodic short-term time series forecast and will be of interest to the science of statistical prediction of time series.

Predicting flow conditions over stepped chutes based on ANFIS

Chute flow may be either smooth or stepped. The flow conditions in stepped chutes have been classified into nappe, transition and skimming flows. In this paper, characteristics of flow conditions are presented systematically under a wide range of critical flow depth, step height and chute slope. The Adaptive Network Based Fuzzy Inference System (ANFIS) is used to predict flow conditions in stepped chutes using critical flow depth, step height and chute slope information. The proposed model performance is determined by threefold cross validation method. The evaluated classification accuracy of ANFIS model is 99.01%. The test results showed that the proposed ANFIS model can be used successfully for complex process control in hydraulic systems.     

ICIC_Prediction:基于因果关系全局动态特性的预测方法

因果关系的预测是因果关系研究的重要内容和主要应用。现有的很多预测方法以寻找最优预测方程或最小特征变量集合为目的,以简化计算。提出一种新的可用于处理政策干预的因果关系预测方法ICIC_Prediction,不局限于利用马尔科夫毯等特征变量集合,而是从因果关系网络结构出发,利用因果关系系统及其采样数据的动态全局特性,预测目标变量在当前采样中的取值。通过在NIPS 2008"因果与预测"的评测会议上发布的四个不同类型的数据集上的对比实验,分析并展示了ICIC_Prediction方法的优势和特点。     

基于ANFIS的微波炉温度控制

针对微波炉温度对象的不确定性，提出了用自适应神经模糊推理系统(ANFIS)对微波炉温度进行自适应控制的自适应神经模糊控制器。通过对ANFIS的训练及检验，结果表明，该自适应神经模糊控制器具有较高的控制精度，控制效果较好。     

基于ANFIS的激光陀螺消噪处理研究

为了降低激光陀螺输出数据中噪声对惯性导航系统精度的影响,采用一种具有学习能力的自适应模糊神经网络（ANFIS）噪声消除的新方法,利用一组激光陀螺随机漂移数据对这种方法进行建模和仿真验证。与传统的小波分析法进行了功率谱密度、均值和标准差的比较,并通过Allan方差法分析了各项误差系数的变化情况,结果表明：这种方法有效地补偿了随机误差,从而有利于提高激光陀螺的输出信号精度。     

基于时事折换图的因果知识量化分析方法

针对目前协同因果事件族的知识分析缺乏时态信息和量化手段等问题，提出基于时事折换图的因果知识量化分析方法。 首先运用时事折换思想建立包含时态信息的因果知识事件域描述机制，然后考虑原因事件对结果事件发生冲击影响和时间累积影响，提出因果度、依赖度、影响度三种指标并推出其计算公式，实现了对因果知识的量化描述和双向推理。 应用实例表明该方法具有高效、细致、直观优点。